Pairs Trading (basic OLS regression) — Strategy by wa1one
By wa1one
Performance Metrics
- Author: wa1one
- Symbol: AMEX:SPY
- Timeframe: 1 day
- Net P&L: +18,457.12 USD (+18,457.12%)
- Win Rate: 59.1%
- Profit Factor: 2.182
- Max Drawdown: 2,512.56 USD (123.76%)
- Total Trades: 93
- Sharpe Ratio: 0.113
Description
Pairs trading using hedge ratio.Firstly, it calculates hedge ration using OLS linear regression.Then it calculates spread and z-score of spread.if spread in specific range (which it's possible to change in settings) it makes Long/Short orders.The very basic script.